Clark-Ocone type formula for non-semimartingales with finite quadratic variation

DOI10.1016/J.CRMA.2010.11.032zbMath1225.60087arXiv1005.3608OpenAlexW1993293623MaRDI QIDQ627755

Francesco Russo, Cristina Di Girolami

Publication date: 3 March 2011

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.3608

zbMATH Keywords

Clark-Ocone formulaquadratic variationBanach-valued stochastic processstochastic integration via regularization

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• Robust option replication for a Black-Scholes model extended with nondeterministic trends
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Elements of Stochastic Calculus via Regularization
• Stochastic Equations in Infinite Dimensions
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